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Initial Stock Analysis

Initial Stock Analysis. A brief look at AMZN and AMGN. Feb 1, 2012 Andrew Hertzberg. AMZN-price. AMZN-return. Intra-day geometric returns were taken at 5-minute intervals. AMZN-RV. The volatility actually realized in the market given in annualized form Contains contributions from jumps.

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Initial Stock Analysis

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  1. Initial Stock Analysis A brief look at AMZN and AMGN Feb 1, 2012 Andrew Hertzberg

  2. AMZN-price

  3. AMZN-return Intra-day geometric returns were taken at 5-minute intervals

  4. AMZN-RV • The volatility actually realized in the market given in annualized form • Contains contributions from jumps.

  5. AMZN-BV • The bipower variation actually realized in the market given in annualized form • Does not contain contributions from jumps.

  6. AMZN-Relative Contribution of Jumps The relative contribution of jumps calculated by comparing the measured values of RV and BV

  7. AMZN-Vol Signature Plot The annualized volatility calculated at different sampling intervals.

  8. AMGN-BV Signature Plot The annualized bipower variation calculated at different sampling intervals.

  9. AMGN-price

  10. AMGN-return Intra-day geometric returns were taken at 5-minute intervals

  11. AMGN-RV • The volatility actually realized in the market given in annualized form • Contains contributions from jumps.

  12. AMGN-BV • The bipower variation actually realized in the market given in annualized form • Does not contain contributions from jumps.

  13. AMGN-Relative Contribution of Jumps The relative contribution of jumps calculated by comparing the measured values of RV and BV

  14. AMGN-RV and BV Signature Plots The annualized volatility calculated at different sampling intervals.

  15. AMGN-BV Signature Plot The annualized bipower variation calculated at different sampling intervals.

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